Parabolic SAR fliplongBacktest Results @ SPY • 1 Hour
Equity Curve
Backtest covers 5.7 years of SPY • 1 Hour (SPDR S&P 500) data, from November 14, 2019 to July 31, 2025.
Equity curve is the strategy's performance over time. You should compare it to the asset's Buy & Hold performance. In general, you want the blue area to be well above the gray area.
Drawdown is how much losses (realized or unrealized) the strategy has had if compared to the highest equity peak. Compare this to the asset's drawdown to see whether your strategy does a decent job of isolating you from downside volatility. In general, the red area must be well within the gray area.
So, we have backtested Parabolic SAR flip on 5.7 years of SPY • 1 Hour candles. This backtest resulted in 445 positions, with the average win rate of 45% and reward-risk ratio of 1.58. If you assume that 1.58 reward-to-risk ratio holds, you need a minimum win rate of 38.8 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 70.40% vs 104.70% for the asset
- Max Drawdown: Max Drawdown: -14.90% vs -35.10% for the asset
- Exposure: Exposure: 60.60% time in the market
- Win Rate: Win Rate: 45.0%, vs 38.8% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.58
With that exposure in mind, you can tell that for 61% time-in-market, you get 67.24% of the asset upside potential, and 42.45% of the asset downside potential.
Parabolic SAR flip: enter a position when
All of the following: # India 60min Parabolic SAR (0.02, 0.02, 0.2, 0) < 60min Chart(close)
Parabolic SAR flip: exit a position when
Exits as soon as None of the entry conditions are true any more.
Parabolic SAR flip @ SPY • 1 Hour (70.4%) backtest results explained by Mike
Mike
AuthorYo fam, let me break down this Parabolic SAR strategy on SPY! 🚀
Looking at these numbers, it's giving some decent vibes! That 70.4% total profit might not beat buy & hold, but check this out - we're only exposed to the market 60.6% of the time, which means less stress and more time to flip burgers at Wendy's 😅. The risk metrics are actually pretty solid, with a max drawdown of only -14.9% compared to the asset's -35.1%. That's some serious protection during rough times! 💪
What's really got me hyped is that Win Rate Leeway - we're crushing the minimal required win rate by over 4000%! Even though the win rate is 45%, our winners are bigger than our losers (1.32% vs -0.84%), giving us that sweet 1.58 risk/reward ratio. Plus, averaging about 13 trades per month means we're not overtrading or getting killed by fees. The Sharpe and Sortino ratios aren't gonna blow anyone's mind, but they're respectable enough to show this isn't just a YOLO strategy! 📈
This could be a solid base for a longer-term portfolio play, especially if you're not trying to diamond hands through every market crash. Just gotta remember that past performance isn't guaranteed, but these numbers are giving me some serious hopium! 🌙
Tabular metrics of Parabolic SAR flip backtested on SPY • 1 Hour
| Total Trades | 445 | Net Profit | 70.4% | Buy & Hold Profit | 104.7% |
| Win Rate | 45% | Reward/Risk Ratio | 1.58 | Max Drawdown | -14.9% |
| Asset Max Drawdown | -35.1% | Exposure | 60.6% | Avg Candles in Position | 12.6 |
| Sharpe Ratio | 1.00 | Sortino Ratio | 1.35 | Realized Volatility | 11.51% |
| Max Winning Streak | 7 | Avg Winning Streak | 1.8 | Max Losing Streak | 8 |
| Avg Losing Streak | 2.2 | Avg Trades per Month | 12.8 | Avg Trades per Day | 0.4 |
| Return Std Dev | 1.5 | Loss Std Dev | 0.7 | Win Std Dev | 1.2 |
| Expectancy | 0.2 | Beta | 0.42 |
All backtests for Parabolic SAR flip
| backtest | exposure | peformance vs asset | drawdown vs asset | win% | reward/risk |
|---|---|---|---|---|---|
BTCUSDT • 1 Minute | 55% | (-2.7%/0.5%) -5.40x | (-3.4%/-4.4%) 0.77x | 36 | 1.5 |
EURUSD • 1 Minute | 55% | (-1.7%/-2.7%) 0.63x | (-1.9%/-3.3%) 0.58x | 37 | 1.3 |
GLD • 1 Minute | 56% | (-4.4%/-0.9%) 4.89x | (-4.9%/-4.8%) 1.02x | 41 | 1.1 |
NVDA • 1 Minute | 56% | (11.3%/20.6%) 0.55x | (-3.2%/-5.3%) 0.60x | 40 | 2.0 |
PLTR • 1 Minute | 56% | (-4.0%/10.4%) -0.38x | (-8.6%/-12.9%) 0.67x | 38 | 1.5 |
SPY • 1 Minute | 58% | (1.4%/4.0%) 0.35x | (-2.0%/-1.5%) 1.33x | 41 | 1.6 |
TSLA • 1 Minute | 55% | (-5.0%/-9.9%) 0.51x | (-11.0%/-15.9%) 0.69x | 38 | 1.5 |
WMT • 1 Minute | 55% | (-0.8%/-0.7%) 1.14x | (-2.9%/-5.1%) 0.57x | 37 | 1.6 |
BTCUSDT • 10 Minutes | 57% | (3.2%/4.7%) 0.68x | (-10.6%/-11.7%) 0.91x | 39 | 1.6 |
EURUSD • 10 Minutes | 56% | (-1.3%/0.6%) -2.17x | (-2.3%/-3.6%) 0.64x | 40 | 1.4 |
GLD • 10 Minutes | 57% | (22.1%/37.4%) 0.59x | (-8.4%/-8.3%) 1.01x | 46 | 1.6 |
NVDA • 10 Minutes | 58% | (24.3%/45.0%) 0.54x | (-28.0%/-42.8%) 0.65x | 44 | 1.4 |
PLTR • 10 Minutes | 60% | (121.1%/459.2%) 0.26x | (-45.7%/-46.5%) 0.98x | 47 | 1.5 |
SPY • 10 Minutes | 59% | (7.9%/14.1%) 0.56x | (-16.1%/-20.7%) 0.78x | 44 | 1.4 |
TSLA • 10 Minutes | 56% | (86.8%/24.4%) 3.56x | (-30.8%/-55.3%) 0.56x | 43 | 1.7 |
WMT • 10 Minutes | 58% | (37.0%/38.7%) 0.96x | (-12.4%/-23.8%) 0.52x | 45 | 1.7 |
BTCUSDT • 1 Hour | 55% | (40.1%/65.5%) 0.61x | (-25.5%/-30.6%) 0.83x | 42 | 1.6 |
EURUSD • 1 Hour | 55% | (-3.2%/3.5%) -0.91x | (-7.5%/-9.0%) 0.83x | 39 | 1.5 |
GLD • 1 Hour | 55% | (61.4%/118.5%) 0.52x | (-21.7%/-22.2%) 0.98x | 43 | 1.8 |
NVDA • 1 Hour | 58% | (1284.1%/3304.6%) 0.39x | (-42.2%/-68.0%) 0.62x | 47 | 1.8 |
PLTR • 1 Hour | 55% | (538.0%/1459.0%) 0.37x | (-77.3%/-86.6%) 0.89x | 42 | 2.0 |
SPY • 1 Hour | 61% | (70.4%/104.7%) 0.67x | (-14.9%/-35.1%) 0.42x | 45 | 1.6 |
TSLA • 1 Hour | 56% | (5558.2%/1240.0%) 4.48x | (-40.4%/-75.1%) 0.54x | 44 | 2.4 |
WMT • 1 Hour | 57% | (100.4%/142.7%) 0.70x | (-18.3%/-26.9%) 0.68x | 43 | 1.8 |
BTCUSDT • Daily | 57% | (379.6%/1339.3%) 0.28x | (-68.0%/-76.6%) 0.89x | 43 | 2.3 |
EURUSD • Daily | 55% | (-1.5%/8.0%) -0.19x | (-17.8%/-23.3%) 0.76x | 37 | 1.7 |
GLD • Daily | 57% | (301.4%/585.6%) 0.51x | (-23.7%/-45.3%) 0.52x | 46 | 1.9 |
NVDA • Daily | 59% | (14739.3%/417479.9%) 0.04x | (-76.5%/-90.0%) 0.85x | 46 | 2.0 |
PLTR • Daily | 57% | (559.1%/1476.3%) 0.38x | (-50.4%/-84.9%) 0.59x | 49 | 2.7 |
SPY • Daily | 65% | (117.1%/1354.3%) 0.09x | (-48.3%/-56.7%) 0.85x | 47 | 1.4 |
TSLA • Daily | 57% | (440.9%/25131.3%) 0.02x | (-75.3%/-75.0%) 1.00x | 37 | 2.6 |
WMT • Daily | 59% | (476.7%/10620.7%) 0.04x | (-60.7%/-50.6%) 1.20x | 45 | 1.6 |